You just have to add the right library to your Visual Studio project. There are many ways of doing this, but using the project's properties, (Configuration Properties, Linker, Input, Additional Dependencies) is probably the easiest.
Which library is the right one? That depends on whether you want the 32-bit or 64-bit versions and whether you want the OpenMP-multithreaded version of the simple single-threaded version.
Some of this is explained in the ACML Users Guide -- which is in the download and also available online here: http://developer.amd.com/cpu/Libraries/acml/onlinehelp/Documents/Linking_002fWindows.html#Linking_002fWindows. That article just discusses which library to use in terms of doing command-line compiling (or buildling a makefile). It doesn't attempt to document the Visual Studio user interface.
If you are using the PGI Visual Fortran version of Visual Studio, you have the option of static linking or dynamic linking. However, if you are just using Visual C/C++/C# and don't have a Fortran compiler, you must use dynamic linking.